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三年小马哥 · 2020年01月31日

想请教一到官网上关于portfolio management-VaR的课后题

以下是题目


Value at Risk: The Index Plus Fund has a one-day 95% value at risk (VaR) of $6.5 million. Gorver asks Abell to write a brief summary of the portfolio VaR for the report he is preparing on the fund’s risk position.


Q. Which of the following statements regarding the VaR of the Index Plus Fund is correct?

  1. The expected maximum loss for the portfolio is $6.5 million.
  2. Five percent of the time, the portfolio can be expected to experience a loss of at least $6.5 million.
  3. Ninety-five percent of the time, the portfolio can be expected to experience a one-day loss of no more than $6.5 million.


我选的是3,感觉3和2好像是在说同一件事,以下是答案的解释


B is correct. VaR measures the frequency of losses of a given minimum magnitude. Here the VaR indicates that on 5% of trading days, the portfolio will experience a loss of at least $6.5 million. (Although C may appear to say the same thing as B, it actually implies that the portfolio will experience a loss on 95% of trading days.) The correct interpretation is that returns will be equal to or greater than −$6.5 million on 95% of trading days; those returns include gains as well as losses


不是很能理解官网的解释,老师能用给解释下为啥3不对么,谢谢



1 个答案

星星_品职助教 · 2020年02月03日

同学你好,

这道题出的不是很好,是个纯看文字的题目。3想说的是95%对应的情况不能全都说是loss,还有gain的情况。一般情况下是不会这么出题的。


此外不建议做官网的题,上面很多题目是旧考纲的,再做没有意义。只要做懂了课后题和近年mock就足够用了。

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